Objective Recent studies have suggested that patients with obstructive sleep apnea (OSA) might be affected by olfactory impairment. However, more evidence is needed on the effect that OSA has on the chemical senses (olfaction and gustatory) of these patients, and whether continuous positive airway pressure (CPAP) treatment might help to reverse possible impairment. Methods A prospective study was conducted with 44 OSA patients (17 female and 27 male, mean age 54 ± 9.9 years) who were diagnosed via polysomnography and eligible for CPAP treatment. Orthonasal olfactory and gustatory function was measured with the extended Sniffin’ Sticks test battery and “taste strips,” respectively, before and after CPAP treatment. Results Baseline olfaction was decreased in OSA patients and after CPAP therapy olfactory scores (odor threshold-discrimination-identification score [TDI]: baseline 29.4 ± 4.11 after CPAP 32.3 ± 4.82; p = 0.001; odor threshold [THR]: baseline 5.28 ± 1.69 after CPAP 6.78 ± 2.61; p = 0.000; odor identification [ID]: baseline 12.9 ± 1.95 after CPAP 13.6 ± 1.33; p = 0.013) improved significantly. In contrast, neither baseline taste function in OSA patients nor gustatory function after treatment seemed to be affected. Conclusion Orthonasal olfactory function in patients with OSA improves under CPAP therapy; however, gustatory function is not impaired in OSA patients.